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Derivative Instruments and Hedging Activities (Tables) | 6 Months Ended
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Jun. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Fair Value of Derivative Instruments Not Designated | The following table presents the fair value of derivative instruments and their location in our condensed consolidated balance sheets at June 30, 2018 and December 31, 2017, respectively (dollar amounts in thousands):
Type of Derivative Instrument |  | Balance Sheet Location |  | June 30, 2018 |  | December 31, 2017
Interest rate swaps (1) |  | Derivative assets |  | $ | 10,543 |  |  | $ | 10,101 |
(1) | Variation margin payable of $4.4 million and variation margin receivable of $9.3 million is included as an adjustment to the carrying value of the derivative assets at June 30, 2018 and December 31, 2017, respectively
Schedule Of Derivative Instruments Volume Activity | The tables below summarize the volume activity of derivative instruments for the six months ended June 30, 2018 and 2017, respectively (dollar amounts in thousands):
|  | Notional Amount For the Six Months Ended June 30, 2018
Type of Derivative Instrument |  | December 31, 2017 |  | Additions |  | Settlement, Expiration or Exercise |  | June 30, 2018
Interest rate swaps |  | $ | 345,500 |  |  | $ | 50,000 |  |  | $ | — |  |  | $ | 395,500 |
|  | Notional Amount For the Six Months Ended June 30, 2017
Type of Derivative Instrument |  | December 31, 2016 |  | Additions |  | Settlement, Expiration or Exercise |  | June 30, 2017
TBA securities (1) |  | $ | 149,000 |  |  | $ | 1,011,000 |  |  | $ | (994,000 | ) |  | $ | 166,000 |
U.S. Treasury futures |  | 17,100 |  |  | 108,000 |  |  | (111,800 | ) |  | 13,300 |
Interest rate swap futures |  | (151,700 | ) |  | 315,200 |  |  | (259,400 | ) |  | (95,900 | )
Eurodollar futures |  | (2,575,000 | ) |  | 4,790,000 |  |  | (4,001,000 | ) |  | (1,786,000 | )
Swaptions |  | 154,000 |  |  | — |  |  | — |  |  | 154,000 |
Interest rate swaps |  | 15,000 |  |  | — |  |  | — |  |  | 15,000 |
(1) | Open TBA purchases and sales involving the same counterparty, same underlying deliverable and the same settlement date are reflected in our condensed consolidated financial statements on a net basis.
Schedule of Components of Realized and Unrealized Gains and Losses | The following table presents the components of realized and unrealized gains and losses related to our derivative instruments included in other income category in our condensed consolidated statements of operations for the three and six months ended June 30, 2018 and 2017 (dollar amounts in thousands):
| Three Months Ended June 30,
| 2018 |  | 2017
| Realized Gains (Losses) |  | Unrealized Gains (Losses) |  | Realized Gains (Losses) |  | Unrealized Gains (Losses)
TBA securities | $ | — |  |  | $ | — |  |  | $ | 2,030 |  |  | $ | (1,015 | )
Eurodollar futures | — |  |  | — |  |  | 232 |  |  | (545 | )
Interest rate swaps | — |  |  | 5,135 |  |  | — |  |  | 48 |
Swaptions | — |  |  | — |  |  | — |  |  | 154 |
U.S. Treasury and interest rate swap futures and options | — |  |  | — |  |  | (573 | ) |  | 87 |
Total | $ | — |  |  | $ | 5,135 |  |  | $ | 1,689 |  |  | $ | (1,271 | )
| Six Months Ended June 30,
| 2018 |  | 2017
| Realized Gains (Losses) |  | Unrealized Gains (Losses) |  | Realized Gains (Losses) |  | Unrealized Gains (Losses)
TBA securities | $ | — |  |  | $ | — |  |  | $ | 1,815 |  |  | $ | (815 | )
Eurodollar futures | — |  |  | — |  |  | 787 |  |  | (925 | )
Interest rate swaps | — |  |  | 14,103 |  |  | — |  |  | 74 |
Swaptions | — |  |  | — |  |  | — |  |  | 68 |
U.S. Treasury and interest rate swap futures and options | — |  |  | — |  |  | (416 | ) |  | 193 |
Total | $ | — |  |  | $ | 14,103 |  |  | $ | 2,186 |  |  | $ | (1,405 | )
Schedule of Interest Rate Swaps, Variable and Fixed Interest Rates | The following table presents information about our interest rate swaps whereby we receive floating rate payments in exchange for fixed rate payments as of June 30, 2018 and December 31, 2017, respectively (dollar amounts in thousands):
|  | June 30, 2018 |  | December 31, 2017
Swap Maturities |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate
2024 |  | $ | 98,000 |  |  | 2.18 | % |  | 2.35 | % |  | $ | 98,000 |  |  | 2.18 | % |  | 1.36 | %
2027 |  | 247,500 |  |  | 2.39 | % |  | 2.35 | % |  | 247,500 |  |  | 2.39 | % |  | 1.39 | %
2028 |  | 50,000 |  |  | 3.13 | % |  | 2.32 | % |  | — |  |  | — |  |  | — |
Total |  | $ | 395,500 |  |  | 2.43 | % |  | 2.35 | % |  | $ | 345,500 |  |  | 2.33 | % |  | 1.38 | %

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- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624163-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5580258-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41620-113959 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579245-113959 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41638-113959 Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41678-113959 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41641-113959 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624171-113959 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(n)(2)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 Reference 10: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579240-113959 + Details
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